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minimal market model
log-return distribution
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Exponentially tilted stable distribution
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Functional limit theorem
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Platen, Eckhard
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Finance Discipline Group, Business School
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On the
Log-Return
Distribution
of Index Benchmarked Share Prices
Platen, Eckhard
-
Finance Discipline Group, Business School
-
1999
symmetric generalised hyperbolic distributions. A share market model that generates share prices with the observed
log-return
…
distribution
is also described. …
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